5621. Commercial and corporate debt securities of same issuer with same maturity band

Where a Dealer Member or a client has the following pairing:

and the positions have the same currency denomination and market value and are within the same maturity band, the two positions may be offset and the minimum margin required for both positions may be computed as the greater of the margins normally required on the long (or short) and the short (or long) positions.

In subsection 5621(1) “highly rated non-convertible commercial and corporate debt securities” are non‑convertible commercial and corporate debt securities currently rated “A” or higher by DBRS, Moody’s or S&P Corporation.